Rmetrics - Updates, Changes, and Enhancements
An Environment and Collection of Functions for Teaching
Financial Engineering and Computational Finance
with R
2004-07-04
UPDATES, CHANGES AND ENHANCEMENTS IN RMETRICS:
IMPORTANT NOTE:
Built 1091.10057 has been submitted to the CRAN server ...
Starting with Built 1090.10055 the packages should compile also under
Linux and Mac OSX ...
Note, Rmetrics is build and tested under MS Windows XP (not under Linux)!
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Rmetrics VERSION 1091.10057
2004-07-04 Rmetrics
The new version is now proofed to be Debian license conform
for all its functions.
2004-07-04 FAQ
The FAQ file has been updated, now the FAQ's are providing more
information about Rmetrics.
2004-07-04 fbasics/R
In function .FirstLib we set a timezone if none found in
environment variables or options, as suggested by Dirk Eddelbuettel,
thanks Dirk.
2004-06-30 fExtremes/R
A new utility function named "gridVector" has been added which
creates all grid points from two vectors which span a rectangular
grid.
2004-06-29 fOptions/demo
A new example file named "funDensitiesEBM.R" has been added
which adds some distributions and related functions which are
useful in the theory of exponential Brownian Motion.
The functions compute densities and probabilities for the
log-Normal distribution, the Gamma distribution, the
Reciprocal-Gamma distribution, and the Johnson Type-I
distribution. Functions are made available for the compution
of moments including the Normal, the log-Normal, the
Reciprocal-Gamma, and the Asian-Option Density. In addition
a function is given to compute numerically first and second
derivatives of a given function.
2004-06-29 fOptions/demo
A new example file named "funSpecFunsEBM.R" has been added
with special mathematical functions which are used in the
theory of exponential Brownian Motion. The functions included
are: In Part I, the Error Function "erf", the Psi or Digamma
Function "Psi", the Incomplete Gamma Function "igamma", the
Gamma Function fpr complex arguments, and the Pochhammer Symbol
"Pochhammer". In Part II, the Confluent Hypergeometric Functions
of the 1st Kind and 2nd Kind "kummerM" and "kummerU", the
Whittaker Functions "whittakerM" and "whittakerW" and the
Hermite Polynomials "hermiteH"
2004-06-29 fOptions/demo
A new example file named "xmpSpecFunsEBM.R" has been added
which shows how to use Gamma Functions, Confluent Hypergeometric
and related functions under R.
2004-06-29 fSeries/R
New functions to fit the parameters by the maximum log-likelihood
method for the symmetric and skew Normal, Student-t with unit
variance, and generalized error distribution have been added.
2004-06-28 fBasics/demo
A new example file "xmpImportForecasts.R" has been added including
a function named "forecastsImport" to download monthly financial
market data from the "www.forecasts.org" web site.
2004-06-28 fBasics/R
A new function named "keystatsImport" has been added which
downloads key statistic and fundamental data for equities from
Yahoo's web site.
2004-06-25 fBasics/R
The function "as.timeSeries" got two additional arguments which
allow to pass dimension names and the timeDate format in POSIX
notation to the returned "timeSeries" object.
2004-06-25 fSeries/R
New functions "[dpqr]ged" and "[dpqr]sged" have been added which
compute density, distribution function, quantile function and
generate random variates for the symmetric and skew generalized
error distribution.
2004-06-25 fSeries/R
New functions "[dpqr]std" and "[dpqr]sstd" have been added which
compute density, distribution function, quantile function and
generate random variates for the symmetric and skew Student-t
distribution with unit variance.
2004-06-25 fSeries/R
New functions "[dpqr]snorm" have been added which compute density,
distribution function, quantile function and generate random
variates for the skew normal distribution.
2004-06-25 fSeries/demo
A new example file "xmpDistTESTskew.R" has been added with
integration tests for the skew normal, for the skew Student-t
with unit variance, and for the skew GED distribution.
2004-06-25 fSeries/R
New functions have been added which compute the Haeviside "H" and
related functions; just another sign function "Sign", the delta
function "delta", the boxcar function "boxcar" and the ramp
function "ramp".
2004-06-24 fOptions/demo
The 3D Plot functions for the generalized Black-Scholes option
prices and the sensitivities have been moved to the examples
located in the demo directory.
2004-06-14 fSeries/data
The data sets from the book "The Econometric Modelling of
Financial Time Series" (2nd Edition) written by Terence C.
Mills have been added to the data directory.
+ many other smaller improvements and fixings ...
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fBasics VERSION 1090.10056
2004-06-13 fbasics
Some minor internal updates have been made to Rmetrics, now
coming with version number 190.10056
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Rmetrics VERSION 1090.10055
2004-06-13 Rmetrics
The new version should be compiled out of the box on MS Windows
Linux, and Mac OSX Platforms. I tested it under Windows XP and
Debian Linux, and OSX. Binary packages for MS Windows and Source
packages can be found on www.rmetrics.org.
2004-06-11 fSeries/demo
A new demo named "xmpSeriesFilter.R" has been added which discusses
time series filters under R and which implements a R function for
the Hodrick-Prescott filter.
2004-06-11 fBasics/demo
The three demo files "xmpCor*.R", dealing with autocorrelations,
the Taylor effect and the long memory behaviour of the NYSE
Composite have been merged into one demo file.
2004-06-11 fBasics/demo
A new demo file named "xmpCalChron.R" has been added which shows
how to manage chronological objects from R's contributed "chron"
package. The topics include, generation of objects, representation
of objects, mathematical operations, and object transformations.
2004-06-11 fBasics/demo
A new demo file named "xmpCalPosix.R" has been added which shows
how to manage POSIXt objects from R's "base" package. The topics
include, generation of objects, representation of objects, mathematical
operations, and object transformations.
2004-06-09 fSeries/demo
A new demo file named "xmpChaosMaps.R" has been added which shows
how to write R functions which generate chaotic time series models.
The functions are: "henonSim" simulates data from Henon Map, "ikedaSim"
from the "Ikeda Map", "logisticSim" from Logistic Map, "lorentzSim"
from the Lorentz Map, and "roesslerSim, from the Roessler Map.
2004-06-08 fBasics/src
Thanks to James McCulloch the Builtin Fortran program named
"fBasics-symstb.f" which is called by the functions "dsymstb" and
"psymstb" is now under the GNU GPL license.
2004-06-08 fBasics/src
Thanks to Tierry Terneau the Builtin C program named "DATE-char_date.c"
which is called by the function "fjulian" is now under the GNU GPL
license.
2004-06-08 fBasics/R
The function "alignDailySeries" has been extended to handle
multivariate time series objects.
2004-06-08 fBasics/R
New test functions for testing normality have been added. This
includes as Builtin functions the functions from R's contributed
package "nortest" and a function for the D'Agostina normal test.
+ many other smaller improvements and fixings ...
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Rmetrics VERSION 1090.10054
2004-06-07 Rmetrics
The new version should be compiled out of the box both on MS
Windows and Linux Platforms. I tested it under Windows XP and
Debian Linux. Binary packages and Source packages can be found
on www.Rmetrics.org.
2004-06-07 fBasics/demo/xmpDistDFssd.R
Demo file added which demonstrates how to estimate probability
densities using smoothing spline ANOVA models with cubic spline,
linear spline, or thin-plate spline marginals for numerical
variables.
2004-06-07 fBasics/demo/xmpDistDFecfd.R
Demo File added which demonstrates how to compute or plot an
empirical cumulative distribution function.
2004-06-07 fSeries/data/dem2gbp.csv
Benchmark data file for GARCH modeling added.
2004-06-07 fSeries/demo/xmpRollingAnalysis.R
Demo file added which implements two functions computing a Simple
Moving Average "SMA" and an Exponential Moving Average "EWMA"
which can be used together with the book "Modelling Financial
Time Series with SPlus" written by E. Zivot and J. Wang.
2004-06-07 fSeries/deno/xmpRegOLS.R
Demo file added which implements a simple OLS function which can
be used together with the book "Modelling Financial Time Series
with SPlus" written by E. Zivot and J. Wang.
2004-06-07 fSeries/demo/xmpMatrixAddonNA.R
Demo file added which demonstates how to manage missing
values in a matrix object. Included are functions to remove,
to substitute, to interpolate and to impute missing values.
2004-06-07 fSeries/demo/xmpGarchOx.R
Demo file which demonstrates how to interface R with the
GarchOx package running under Ox. Note, Ox and GarchOx are
not part of this distribution.
2004-06-07 fSeries/demo/xmpChaosMaps.R
Demo file added which demonstrates how to generate some chaotic
time series models. These include the Henon map, the Ikeda Map,
the Logistic map, the Lorenz map and the Roessler Map.
2004-06-07 fExtremes/demo/xmpEDAlargenumPlot.R
Demo file added with two R functions "sllnPlot" and "lilPlot"
where the first verifies Kolmogorov's Strong Law of Large
Numbers and the second verifies Hartman-Wintner's Law of the
iterated logarithm.
2004-06-07 fExtremes/demo/xmpDISTmoments.R
Demo file added with two R functions "gevMoments" and
"gpdMoments" which compute true mean and variance for the
Generalized Extreme Value distribution and for the
Generalized Pareto distribution.
2004-06-07 fOptions/demo/xmpTREEtrinomialOption.R
Demo file added which shows how to write a function to compute
the call and put price of an European or American style option
using a trinomial tree approach.
+ many other smaller improvements and fixings ...
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Rmetrics VERSION 1090.10053
2004-06-04 fBasics/demo/xmpZW-Chapter-2.R
Demo files added with examples from Chapter 2 of the book
of Zivot and Wang "Modeling Financial Time Series with Splus".
2004-06-04 Rmetrics
Code parts from contributed packages are now integrated as
BUILTIN functions (invisible for the user). That makes
Rmetrics running out of the box on an R default installation
and allows for a better unit testing.
2004-06-03 Rmetrics
Rmetrics goes unit testing. I decided to use the RUnit package
for unit testing under Rmetrics.
2004-06-03 fBasics
Internal GNU Ical time/date concept improved, so that timeDate
operations become faster and now also run under Debian Linux.
2004-06-03 fExtremes/fOptions
are now running out of the box under Debian Linux.
2004-06-02 Rmetrics
All keywords in the help pages have been replaced with R's
standardized keywords from the KEYWORD.db Database.
2004-06-02 fSeries
New functions have been added supporting "Matrix Arithmetics
and Linear Algebra". The help page summarizes selected functions
available under R and addititional functions are documented
which have been added by Rmetrics.
2004-05-01 fBasics
The Fortran Code for the hyperbolic distribution "hyp" has been
withdrawn and is now replaced by pur R code. The Random number
Generator implements "rhyperb" from R's "HyperbolicDist" package
written by David Scott.
2004-05-29 fBasics
The "timeDate" and "timeSeries" classes have been added to
the Rmetrics "fBasics" package. Also available are examples
from Chapter 2 for the book "Modelling Financial Time Series
with SPlus" written E. Zivot and J. Wang.
2004-05-28 Rmetrics
MS Windows specific features have been removed from the packages.
This is a precondition to build the packages in the future also
under Linux and Mac OSX.
2004-05-19 Rmetrics
readline() function in examples replaced by xmp* functions which
allow for an optional interactive prompt, so that R CMD CHECK no
longer fails when the examples ask for a prompt.
2004-05-03 fBasics
Installer and Updater "menu" added for installing and updating
packages from the "Rmetrics" server, (MS Windows only).
2004-04-29 fBasics
webImport: The functions "economagicImport" and "yahooImport" got
a new argument named "try" for testing the Internet connection.
So the program doesn't fail any longer if the Internet is down.
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Rmetrics VERSION 1081
2004-04-22 fOptions
Two new functions added for valution of options by the binomial
tree method. These are: "JRBinomialTreeOption" and
"TIANBinomialTreeOption".
2004-04-21 fExtremes
All "*Fit" functions which the parameter estimation functions
from the "evir" and "ismev" packages have now a common print,
plot and summary S3 method which deliver their output in the
same form.
2004-03-21 fExtremes
A new function "interactivePlot" was added which allows for
plots in different ways by an argument named "which". If which
is a character string named "all" all plots are created, if
which is a logical vector of the length of the number of plots,
those plots are created which elements of this vector set "TRUE",
or if which a a character string named named "ask" the plots
interact with their user.
2004-02-14 fOptions
New functions have been added for the valuation of options
by Monte Carlo simulations. These are: "wienerPath",
"plainVanillaPayoff", "arithmeticAsianPayoff", and
"MonteCarloOption".
2004-01-29 fBasics
data: "*.csv" data files have now as delimiter a semicaolon
instead of a comma, thus we use R's default for *.csv files.
2004-01-29 fBasics
"print.coefmat" was deprecated in R's Version 1.8.1, thus we
have it replaced by the current function "printCoefmat".
2004-01-29 fBasics
"yahooImport" was updated due to format changes.
2004-01-29 fBasics
"skewness" now support as input data.frame and POSIX objects.
New methods
skewness.default(), skewness.data.frame(),
skewness.POSIXct() and skewness.POSIXlt()
were added.
2004-01-29 fBasics
"kurtosis" now support as input data.frame and POSIX objects.
New methods
kurtosis.default(), kurtosis.data.frame()
kurtosis.POSIXct() and kurtosis.POSIXlt()
were added.
2004-01-29 fSeries
"regFit" has now S4 print, plot, summary and predict methods.
All methods are now integrated in one function with argument
"method" for selection.
2004-01-29 fSeries
"lmTest" has now integrated all tests in one functions with
argument "method" for selection. The individual functions can
be used through the underlying "lmtest" package.
2004-01-29 fSeries
The collection "technicalAnalysis" was devided into two
collections, the first is still "technicalAnalysis", the
added one is named "benchmarkAnalysis".
2004-01-23 fBasics
"src/chardate.c" removed, now using R-package "date"